Can't find Spin Menu to create a rotational object
The Spin function works on vertex, while the bezier curves are based on control points. You could transform the curve in mesh (Alt C, mesh from curve) and then use the spin function, but you would loose the interactivity of the modelling process; so the best way, with bezier curves, is to use a screw modifier, instead.
Choose the right axis (in my example z axis).